Capital adequacy

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Evaluation of Too-Big-to-Fail Reforms

TC webcast focuses on FSB consultation report

Toronto Centre webcast focuses on the recent Financial Stability Board (FSB) consultation on too-big-to-fail reforms.

Publisher: Toronto Centre Release date: Jul 2020

Type: TC Videos

Topics: Systemically important financial institutions (SIFIs), Capital adequacy, Recovery and resolution

Sectors: Banking

Supervisory Responses to the Impact of COVID-19 on Credit Quality

TC note discusses immediate and long-term options for banking supervisors in light of COVID-19

Toronto Centre Note discusses some of the immediate and medium-term options for banking supervisors in response to the COVID-19 outbreak. It covers the application of accounting standards, the calculation of regulatory capital, and some practical advice for the actions that supervisors should be taking. One key message to supervisors is that they should ensure that banks are judicious in the use they make of the flexibility offered by accounting standards.

Publisher: Toronto Centre Release date: Apr 2020

Type: TC Notes

Topics: Crisis management and contingency planning, Accounting, actuarial and auditing , Capital adequacy

Sectors: Banking

The PRA's Methodologies for Setting Pillar 2 Capital

PRA policy statement on its Pillar 2 capital requirements

UK Prudential Regulatory Authority updated methodology for setting Pillar 2 capital requirements. Sets out methodologies to inform setting a firm’s Pillar 2A individual capital guidance for credit risk, market risk, operational risk, counterparty credit risk, credit concentration risk, and interest rate risk in the banking book and pension obligation risk. Pillar 2B provides information on the purpose of a PRA buffer, how it is determined and how it relates to the CRD IV buffers. Also provides details on PRA’s approach to tackling weak governance and risk management under Pillar 2B.

Publisher: National Regulators Release date: Feb 2020 Country: United Kingdom

Type: Supervisory Practice

Parent: Capital Requirements Directive - CRD IV, Capital Requirements - CRD IV/CRR – Frequently Asked Questions

Peer: Assessing Capital Adequacy Under Pillar 2

Topics: Capital adequacy, Credit risk, Market risk, Operational risk, Interest rate risk

Sectors: Banking

UK Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP)

PRA supervisory statement on its expectations for firms undertaking an ICAAP and factors it takes into consideration in its SREP

UK Prudential Regulatory Authority updated supervisory statement sets out expectations of firms in relation to: i) undertaking their ICAAP; ii) stress testing, scenario analysis and capital planning; and iii) reverse stress testing. Sets out the factors that the PRA takes into consideration to assess a firm’s ICAAP. Provides further detail in relation to high-level expectations outlined in PRA’s Approach to Banking Supervision.

Publisher: National Regulators Release date: Jan 2020 Country: United Kingdom

Type: Guideline

Parent: Capital Requirements Directive - CRD IV

Peer: The Prudential Regulation Authority's Approach to Banking Supervision

Topics: Capital adequacy, Stress-testing

Sectors: Banking, Securities

Global Frameworks for Supervision of Internationally Active Insurance Groups and Mitigation of Systemic Risk in the Insurance Sector

IAIS comprehensive set of reforms to enable effective cross-border supervision of insurance groups

International Association of Insurance Supervisors reforms to enable effective cross-border supervision of insurance groups and contribute to global financial stability. Reforms include: i) the Common Framework (ComFrame); ii) Insurance Capital Standard (ICS); and iii) Holistic Framework for the assessment and mitigation of systemic risk in the insurance sector.

Publisher: Global Standard-Setting Bodies Release date: Nov 2019

Type: Standard

Topics: Systemic risk, Risk-based supervision, Capital adequacy, Systemically important financial institutions (SIFIs), Supervisory framework

Sectors: Insurance

Overview of Pillar 2 Supervisory Review Practices and Approaches

BCBS review describes key concepts of Pillar 2 and supervisory review practices in use across Basel Committee member jurisdictions

Basel Committee on Banking Supervision report covers key areas of Pillar 2 supervisory review process, including the risk assessment process, risk appetites, board and senior management roles and supervisory practices adopted to enhance transparency, and bank disclosure practices. The report also describes a number of selected Pillar 2 risks, including business risk and interest rate risk in the banking book. It presents a range of actions that are taken under Pillar 2.

Publisher: Global Standard-Setting Bodies Release date: Jun 2019

Type: Consultative, discussion and issues paper

Topics: Capital adequacy, Risk management, Corporate governance, Transparency and disclosure, Market risk, Securitization

Sectors: Banking

From Basel I to Basel III

IMF working paper discusses sequencing implementation in developing economies

International Monetary Fund working paper provides guidance on how non-Basel Committee member countries could incorporate banks' capital and liquidity standards into their framework.

Publisher: International Organizations Release date: Jun 2019

Type: Consultative, discussion and issues paper

Topics: Capital adequacy, Liquidity risk and rules, Supervisory framework

Sectors: Banking

Minimum Capital Requirements for Market Risk

BCBS revised standards for minimum capital requirements for market risk

Basel Committee on Banking Supervision standard ensures that standardization and internal model approaches to market risk deliver credible capital outcomes and promote consistent implementation of standards across jurisdictions.

Publisher: Global Standard-Setting Bodies Release date: Jan 2019

Type: Standard

Parent: Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework, Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems

Topics: Market risk, Capital adequacy, Risk management

Sectors: Banking

The Prudential Regulation Authority's Approach to Implementation of the Systemic Risk Buffer

PRA statement of policy on its' approach to implementation of systemic risk buffer

UK Prudential Regulation Authority implementation of the systemic risk buffer (SRB). Framework applies to large banks and specifies set of criteria for assessing the extent to which the failure or distress of an SRB institution might post a long term non-cyclical systemic or macroprudential risk. Creates methodology for measuring the criteria and giving SRB institutions a single score in relation to the criteria with a corresponding SRB rate.

Publisher: National Regulators Release date: Dec 2018 Country: United Kingdom

Type: Law, Regulation and Policy

Topics: Systemic risk, Systemically important financial institutions (SIFIs), Capital adequacy, Macroprudential

Sectors: Banking

The UK Leverage Ratio Framework

Supervisory practice for UK leverage ratio framework

UK Prudential Regulatory Authority supervisory statement on UK leverage ratio framework. Sets out PRA's expectations on leverage ratio buffers and reporting and disclosure of the leverage ratio, as well as provides clarification on PRA rules.

Publisher: National Regulators Release date: Nov 2018 Country: United Kingdom

Type: Supervisory Practice

Peer: Policy on UK Leverage Ratio Framework

Topics: Capital adequacy, Transparency and disclosure, Systemically important financial institutions (SIFIs)

Sectors: Banking

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Resources

382 records

Evaluation of Too-Big-to-Fail Reforms

Supervisory Responses to the Impact of COVID-19 on Credit Quality

The PRA's Methodologies for Setting Pillar 2 Capital

UK Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP)

Global Frameworks for Supervision of Internationally Active Insurance Groups and Mitigation of Systemic Risk in the Insurance Sector

Overview of Pillar 2 Supervisory Review Practices and Approaches

From Basel I to Basel III

Minimum Capital Requirements for Market Risk

The Prudential Regulation Authority's Approach to Implementation of the Systemic Risk Buffer

The UK Leverage Ratio Framework

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